How to convert particles to mesh
The following assumes that you are using 'Particle System-> Render-> Object -> Dupli Object'.  

Option 1) You can press the Convert button for the Particles Modifier. 

 

Option 2) If you would like to keep the particle Emitter intact, you can use the 'Make Duplicates Real' Tool Shift+Ctrl+a.
This will create object particles at every particle position just as if you applied the Modifier but the particle emitter and its particle system will still be intact in case you would like to make further changes.